A combinatorial approach for pricing Parisian options.

DOI10.1007/s102030200007zbMath1156.91364OpenAlexW2094400352MaRDI QIDQ1862739

Massimo Costabile

Publication date: 19 March 2003

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s102030200007

Mathematics Subject Classification ID

Factorials, binomial coefficients, combinatorial functions (05A10) Derivative securities (option pricing, hedging, etc.) (91G20)

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Parisian exchange options ⋮ American Parisian options ⋮ Parisian options with jumps: a maturity–excursion randomization approach ⋮ The Bankruptcy Cost of the Life Insurance Industry Under Regulatory Forbearance ⋮ An improved combinatorial approach for pricing Parisian options ⋮ Default risk, bankruptcy procedures and the market value of life insurance liabilities ⋮ Fast binomial procedures for pricing Parisian/ParAsian options ⋮ PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS ⋮ The market pricing of the lifeboat provision in a closed-end fund

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